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Statements

Subject Item
n2:RIV%2F70883521%3A28120%2F12%3A43867926%21RIV13-MSM-28120___
rdf:type
skos:Concept n6:Vysledek
dcterms:description
This paper examines the momentum effect in Colombo Stock Exchange (CSE) from January 1995 to December 2008. The sample of the study includes all the voting stocks traded at CSE. Stocks are selected for the strategies implemented in this study based on their returns over the past 3, 6, 9 and 12 months and hold the selected stocks for 3, 6, 9 and 12 months respectively. This gives a total of 16 strategies. In order to identify the relation between market states and momentum effect, the entire sample is divided into two sub periods, January 1995 to September 2001 and October 2001 to July 2008. The first sub period was mainly bearish and the second sub period was mainly bullish. For the overall sample, all the strategies show positive and statistically significant momentum effects. When there is a time lag between the formation period and the holding period, the most successful momentum strategy is the 12 months/3 months strategy where stocks are selected based on their returns over the past 12 months and then holds them for next 3 months. This strategy yields returns of 0.728 percent per month. Further, the momentum effect is stronger in the down market stance than in the up-market stance. In the up-market, virtually all the portfolios are winners since difference between return on the winner portfolios and return on the loser portfolios are negligible. By contrast, in the down-market stance, all the winner portfolios are positive while all the loser portfolios are negative. Hence the winner portfolios significantly outperform the loser portfolios. This paper examines the momentum effect in Colombo Stock Exchange (CSE) from January 1995 to December 2008. The sample of the study includes all the voting stocks traded at CSE. Stocks are selected for the strategies implemented in this study based on their returns over the past 3, 6, 9 and 12 months and hold the selected stocks for 3, 6, 9 and 12 months respectively. This gives a total of 16 strategies. In order to identify the relation between market states and momentum effect, the entire sample is divided into two sub periods, January 1995 to September 2001 and October 2001 to July 2008. The first sub period was mainly bearish and the second sub period was mainly bullish. For the overall sample, all the strategies show positive and statistically significant momentum effects. When there is a time lag between the formation period and the holding period, the most successful momentum strategy is the 12 months/3 months strategy where stocks are selected based on their returns over the past 12 months and then holds them for next 3 months. This strategy yields returns of 0.728 percent per month. Further, the momentum effect is stronger in the down market stance than in the up-market stance. In the up-market, virtually all the portfolios are winners since difference between return on the winner portfolios and return on the loser portfolios are negligible. By contrast, in the down-market stance, all the winner portfolios are positive while all the loser portfolios are negative. Hence the winner portfolios significantly outperform the loser portfolios.
dcterms:title
Momentum effect and market states: Emerging market evidence Momentum effect and market states: Emerging market evidence
skos:prefLabel
Momentum effect and market states: Emerging market evidence Momentum effect and market states: Emerging market evidence
skos:notation
RIV/70883521:28120/12:43867926!RIV13-MSM-28120___
n6:predkladatel
n10:orjk%3A28120
n3:aktivita
n12:V
n3:aktivity
V
n3:cisloPeriodika
2
n3:dodaniDat
n7:2013
n3:domaciTvurceVysledku
Pathirawasam, Chandrapala n16:9938044
n3:druhVysledku
n15:J
n3:duvernostUdaju
n9:S
n3:entitaPredkladatele
n14:predkladatel
n3:idSjednocenehoVysledku
151578
n3:idVysledku
RIV/70883521:28120/12:43867926
n3:jazykVysledku
n18:eng
n3:klicovaSlova
Momentum effect; Market states; Colombo stock exchange
n3:klicoveSlovo
n4:Momentum%20effect n4:Colombo%20stock%20exchange n4:Market%20states
n3:kodStatuVydavatele
CZ - Česká republika
n3:kontrolniKodProRIV
[7AC45283B3C9]
n3:nazevZdroje
E+M. Ekonomie a Management
n3:obor
n17:AE
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
2
n3:rokUplatneniVysledku
n7:2012
n3:svazekPeriodika
15
n3:tvurceVysledku
Kráľ, Miloš Pathirawasam, Chandrapala
n3:wos
000306893100010
s:issn
1212-3609
s:numberOfPages
10
n13:organizacniJednotka
28120